Asymmetric dependence in the stochastic frontier model using skew normal copula

In this paper, a new skew normal copula-based stochastic frontier model (SFM) is proposed to investigate the asymmetric dependence among the disturbances U (representing technical inefficiency) and V (representing noise). By employing the skew-normal copula in SFM, the asymmetric joint behavior of U...

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Bibliographic Details
Published inInternational journal of approximate reasoning Vol. 128; pp. 56 - 68
Main Authors Wei, Zheng, Conlon, Erin M., Wang, Tonghui
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.01.2021
Subjects
Asymmetric dependence
Skew normal copula
Stochastic frontier model
Technical efficiency
Skew normal copula
Technical efficiency
Asymmetric dependence
Stochastic frontier model
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Summary:In this paper, a new skew normal copula-based stochastic frontier model (SFM) is proposed to investigate the asymmetric dependence among the disturbances U (representing technical inefficiency) and V (representing noise). By employing the skew-normal copula in SFM, the asymmetric joint behavior of U and V can be parameterized, thereby allowing the data to have the opportunity to determine the adequacy of the independence or symmetric copula assumption. The skewness of ordinary least square residuals under copula-based SFM is discussed. The performance of the proposed skew normal copula-based SFM is evaluated through simulation studies and an analysis of a real data set.
ISSN:0888-613X
1873-4731
DOI:10.1016/j.ijar.2020.10.011